To create a new "collection", click the folder icon on the left side of Zotero Desktop App, type the name you want for your collection, and you're done! You can click and drag sources into that folder now!
Tagging can make it easy to find similar kinds of articles or topics across different collections. If the database that you're exporting the source from has tagged it (for example, with subject headings), Zotero will import those into your tags. To add your own tags: